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BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas
Tom Doan Statistical Software Components from Boston College Department of Economics
Estimates the required number of factors in a linear factor model using the formulas in Bai and Ng(2002), "Determining the Number of Factors in Approximate Factor Models", Econometrica, vol 70, 191-221.
Requires: RATS 7.30
Keywords: Factor; models (search for similar items in EconPapers)
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Downloads: (external link) http://www.estima.com/procs_perl/baing.src (text/plain)
Related works: Journal Article: Determining the Number of Factors in Approximate Factor Models (2002) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rts00012
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